His wig is left back on Centauri Prime. In Coming of ShadowsB5: Coming of Shadows, we learn that he sees it as a form of vanity and just point-blank refuses to wear it.
Turhan: No need for that now. When you get to be as old as I, the trappings of status are not as important as they used to be.
You may wish to note that his nephew Cartagia also has much the same opinion and wears his (evidently real) hair shockingly short.